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NVIDIA CUDA SDK - Computational Finance

The CUDA Developer SDK provides examples with source code, utilities, and white papers to help you get started writing software with CUDA. The SDK includes dozens of code samples covering a wide range of applications including:

  • Simple techniques such as C++ code integration and efficient loading of custom datatypes
  • How-To examples covering CUDA BLAS and FFT libraries, texture fetching in CUDA, and CUDA interoperation with the OpenGL and Direct3D graphics APIS
  • Linear algebra primitives such as matrix transpose and matrix-matrix multiplication
  • Data-parallel algorithms such as parallel prefix sum of large arrays
  • Performance: profiling using timers and bandwidth tests
  • Advanced application examples such as image convolution, Black-Scholes options pricing and binomial options pricing
Refer to the following READMEs for more information ( Linux , Windows )

This code is released free of charge for use in derivative works, whether academic, commercial, or personal. (Full License)

The NVIDIA CUDA Toolkit is required to run and compile code samples. Please obtain the CUDA Toolkit here

Quick Links:
Data-Parallel Algorithms Computational Finance
Performance Strategies Linear Algebra
Physically-Based Simulation CUDA Basic Topics
Graphics Interop Image/Video Processing and Data Compression
CUDA Advanced Topics


Monte-Carlo Option Pricing with multi-GPU support For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.

This sample evaluates fair call price for a given set of European options using Monte-Carlo approach, taking advantage of all CUDA-capable GPUs installed in the system.
  Minimum Required GPU
Minimum Required GPUor later




Download - Windows
Download - Linux


Monte-Carlo Option Pricing For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.

This sample evaluates fair call price for a given set of European options using Monte-Carlo approach.
  Minimum Required GPU
Minimum Required GPUor later



Whitepaper
Download - Windows
Download - Linux


Black-Scholes Option Pricing For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.

This sample evaluates fair call and put prices for a given set of European options by Black-Scholes formula.
  Minimum Required GPU
Minimum Required GPUor later



Whitepaper
Download - Windows
Download - Linux


Binomial Option Pricing For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.

This sample evaluates fair call price for a given set of European options under binomial model.
  Minimum Required GPU
Minimum Required GPUor later



Whitepaper
Download - Windows
Download - Linux

Last Update: 11/12/2007
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